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This algorithm by Nicholas Higham finds the nearest correlation matrix given an example matrix. It does this by alternate projections onto unit diagonal and positive semidefinite matrices. The paper can be found via: http://citeseer.ist.psu.edu/higham02computing.html Read the rest of this entry »

Don’t install it… It has totally screwed up my installation of Visual Studio 2005 Express Edition. If you don’t have over about 4Gb free on the drive it rolls back and deletes your C runtime dll libraries.